An impulse-response function for a VAR with multivariate GARCH-in-Mean that incorporates direct and indirect transmission of shocks

Chew Chua, Sandy Suardi and Sarantis Tsiaplias

Economics Letters, 2012, vol. 117, issue 2, 452-454

Abstract: We generalise the impulse response function of Elder (2003) by considering indirect volatility spillovers for a VAR model with multivariate GARCH-in-Mean. The extension is relevant for variables that exhibit direct and indirect volatility spillovers (Tsiaplias and Chua, in press).

Keywords: Multivariate GARCH; Spillovers; Latent factors; Impulse response (search for similar items in EconPapers)
JEL-codes: C32 C50 G10 (search for similar items in EconPapers)
Date: 2012
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Citations: View citations in EconPapers (5)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:117:y:2012:i:2:p:452-454

DOI: 10.1016/j.econlet.2012.06.031

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